HFT High Frequency Trading

New R blog created on how to do a model, algo, strategy for HFT High Frequency Trading

New R blog created on how to do a model, algo, strategy for HFT High Frequency Trading See here at http://quantlabs.net/r-blog/

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Multi Agents Systems (MAS) for quant development and high frequency trading HFT

Multi Agents Systems (MAS) for quant development and high frequency trading HFT Hi, I am looking for an interesting theme for my MSc and I wish to join MAS and Algorithmic Trading. Can anyone suggest some ideas or even papers with the same topic? Thanks == have a look at Altreva. It's an application of agent-based models for algorithmic trading. http://www.altreva.com == There is a program called Netlogo that allows developers to create multi agent based models. A good paper that worked on a simulation of the May market crash in 2010 is located here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1932152 Many ideas were discussed at the High frequency data analysis conference, check out the abstracts: http://kolmogorov.math.stevens.edu/conference2011/index.php/abstracts-of-the-talks == Thank you for posting. I didn't know Altreva and I am starting to know it now. I already knew NetLogo and I know it is used a lot in social sciences because it is easier to programm than Java (Rpast for instance). But I will dig in a bit more. If you have additional info you would like to share I would welcome it a lot. Thanks

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No to MYSQL: How to use Cassandra with R and RCasandra versus Hadoop and HBase

No to MYSQL: How to use Cassandra with R and RCasandra versus Hadoop and HBase MYSQL looked good but can get pricey. Cassandra is true free open source and Twitter uses it! http://blog.milford.io/2010/06/installing-apache-cassandra-on-centos/ http://ria101.wordpress.com/2010/02/24/hbase-vs-cassandra-why-we-moved/ Learn more on how I proceed with this with R as part of my high frequency trading: http://quantlabs.net/membership.htm YouTube Preview Image Lucky me, I get a strange issue with RCassandra, Hmmm...probably a stupid thing but please comment if anyone has any ideas. Thanks YouTube Preview Image This could be a potential workaround but let me try for another day: http://www.datastax.com/dev/blog/big-analytics-with-r-cassandra-and-hive      

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Best alternative development stack for R with Hadoop? Forget MYSQL? Cassandra and Java listeners for market tick data

Best alternative development stack for R with Hadoop? Forget MYSQL? Cassandra and Java listeners for market tick data After reading about the limitation of MYSQL and how expensive it can get, I decided to take chance on Cassandra. One big reason there is a RCassandra package within CRAN so yippee for that. Also, the install does not look hard and better yet, you can integrate it with Hadoop. Yipee for that! Also, Cassandra may be faster for writing than HBase which was part of the RHadoop offering so boo to that. Also, I plan to have to some Java listeners to my market data to populate the Cassandra database. This stack may work so let’s cross my fingers.  Here are my links that got me thinking this way: http://stackoverflow.com/questions/4884967/hadoop-hbase-hdfs-vs-mysql-or-postgres-loads-of-independent-structured-d http://ria101.wordpress.com/2010/02/24/hbase-vs-cassandra-why-we-moved/ http://blog.milford.io/2010/06/installing-apache-cassandra-on-centos/ This above install of Cassandra appears to work with a few tricks as running as root but does work and installed fine. http://www.datastax.com/docs/0.7/map_reduce/hadoop_mr http://code.google.com/p/cassandra-java-client/ The last 2 links  I question but the Cassandra install may be worth doing but integrating with Hadoop could be a challenge. I also hope the RCassandra works to.    

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Installing MySQL Cluster for now until I see R get a nice bridge to Hadoop. Sorry RHIPE and RHadoop for now

Installing MySQL Cluster for now until I see R get a nice bridge to Hadoop. Sorry RHIPE and RHadoop for now With my capability to download RMysql through CRAN, I am proceeding to download MYSQL Cluster for CentOS. I hope this works http://linuxadminzone.com/setting-up-a-mysql-cluster-7-0-in-redhat-based-linux/ Also, I will proceed in using Java listeners to my market data to populate a MYSQL database, have R access the data for the analytics. This should work for the time being instead of spinning my wheels with the wonky inadequate install guides for RHadoop and RHIPE.  Sorry, but if anyone can provide detailed complete end to end documents that work to get either RHadoop or RHIPE working, I am eager to listen. I like to see something like this which works flawlessly: https://ccp.cloudera.com/display/CDHDOC/CDH3+Installation Until then, I go with MYSQL for now. Comment below to let me know any COMPLETE end to end install guides for RHIPE or RHadoop

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Thanks to R-Bloggers.com,finding ways to use R for HFT or high frequency trading,algos, quant, models,strategy development in finance

Thanks to R-Bloggers.com,finding ways to use R for HFT or high frequency trading,algos, quant, models,strategy development in finance First, I got to say thanks for R-Bloggers.com for adding this site. Thanks for them doing that. First I am really new to R but coming from a year of Matlab. I really like it and love all the high quality toolboxes from Mathworks. It made my life much easier. Thus far, I have been somewhat hitting walls of frustration of some badly documented R packages or I should say, lack of documentation on simple installation of it from outside of CRAN. Anyhow, I am trying to figure out stuff how to accomplish the equivalent stuff I did in Matlab. We shall see but I hope the R community can help with that. So there, and this blog post is dedicated to R-bloggers.com.  It seems this site has helped me understand people’s results and reviews of all anything around R. I kind of like that and nothing lke that really exists in the world of Matlab. So I am glad this kind of site of R-Bloggers.com exists. P.S. I am sure methods for HFT does exist, I just got to learn it or find it.

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GPGPU/OpenCL/CUDA and Hadoop for HFT High Frequency Trading

GPGPU/OpenCL/CUDA and Hadoop for HFT High Frequency Trading After reading http://hgpu.org/?p=7413 (and being interested in Hadoop quite some time), I got curious if more efforts have been done or are under development. It is clear that workers can be sped up a lot with OpenCL and alike techniques, increasing the speed of a cluster. Do note I am an OpenCL-specialist, so somewhat biased. Do you guys know of any project where Big Data has been combined with OpenCL, CUDA, Aparapi, etc?   --I attended the event that @Andrew put together in NY. @Andrew presented an overview regarding the state of play (citing some of the papers and observations made above) and also talked a little about Aparapi (which obviously made me happy :) ). There was some discussion about the use of Thrust (for those prepared to make the Java->JNI->Thrust->JNI->Java round trip) and of course the option of using JOCL/JCUDA for those who want to write their host code in Java but still use CUDA/OpenCL. There was also a session from Jack Papas (one of the TidePowerd inventors) discussing his work. The third session was from Tim Childs discussing Map-Reduce + GPU from a database perspective. I also note that Andrew is presenting a session at AFDS (www.amd.com/afds) entitled 'CC-4344 - Hadoop and GPU Compute'. AFDS should be fun this year, we have 2 Aparapi sessions and one hands-on-lab.  

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why r rhine and rhadoop do not work, back to windows microsoft .net and matlab

why r rhine and rhadoop do not work, back to windows microsoft .net and matlab Learn how do in these tools http://quantlabs.net/membership.htm UPDATE: Progress has been made but I still wish these R package developers made better install guides instead of relying on others and going on Easter Egg hunts http://quantlabs.net/blog/2012/05/finally-rhadoop-running-with-r-and-hadoop-with-rmr-map-and-reduce-bridged-thanks-to-this-tutorial/ YouTube Preview Image  

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HPCWire: Zetaflops will happen for HFT says HPC Analyst hpcwire.com

HPCWire: Zetaflops will happen for HFT says HPC Analyst hpcwire.com While Thomas Sterling’s interview about the impossibility of reaching zettaflops made a lot of sense, the history of making negative predictions about technology is often an embarrassing one. Here are three examples: "I think...   -- Those papers are too generic ; I would like to see mathematical logic to explain why it is possible or not ;; for exemple what is the limit of optics? 1fJ/bit? It is clear there is a physical limit to computation, this is very sad, but we are still very far from it, there are plenty potential solutions to extend the Moore Law Is it an econimical limit? power limit? A communication limit? Complexity limit? For what problems? a machine to treat 1 problem or thousands/millions in parallel? There is a clear potential for sciences to use a reasonably cheap zettaflop machine It can be 10B$ "this is very cheap" regarding our deficits, it can be 1GW, just 1 nuclear plant ; it all depend what fundamental problems this machine can solve for humanity that we cannot be solved without it I think the true limit is the ecomical balance between cost/benefits , we will reach that limit before the true physical limits Meanwhile we should not neglect those fundamental limits that are on our radar, I feel that in future we will be more limited by data storing and transport capability than compute capability mainly because the data will come from of trillions of sensors dispersed on our planet  

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Automated Trading Championship 2012 for High Frequency Traders

Automated Trading Championship 2012 for High Frequency Traders

championship.mql5.com

MetaQuotes Software Corp. hold the sixth annual Automated Trading Championship 2012. The best three developers of automated trading strategies will be revealed within three months. --   Will be interested to see what the devs come up with though there is no substitute for trading with the eye!  

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